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Original Articles

Monte Carlo Estimation Under Different Distributions Using the Same Simulation

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Pages 153-160 | Published online: 23 Mar 2012
 

Abstract

Two methods for reducing the computer time necessary to investigate changes in distribution of random inputs to large simulation computer codes are presented. The first method produces unbiased estimators of functions of the output variable under the new distribution of the inputs. The second method generates a subset of the original outputs that has a distribution corresponding to the new distribution of inputs. Efficiencies of the two methods are examined.

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